Assessing the performance of the VaR models on nonlinear portfolio

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Assessing the performance of the VaR models on nonlinear portfolio

This paper aims to assess the performance of the VaR models on nonlinear portfolio. Historical Simulation, Monte-Carlo simulation and Delta-Gamma –normal model are implemented to estimate the daily VaR of a nonlinear portfolio consisting of two European Call options from 01/10/2012 to 13/09/2013. Th...

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Bibliographic Details
Main Author:	ZHU, Guantao
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Subjects:	VaR Historical simulation Monte-Carlo simulation Delta-gamma nonlinear portfolio Back-testing
Online Access:	https://eprints.nottingham.ac.uk/26818/

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